How do I add variants by duplicating an existing variant on Shopify?

Short and simple:

You can't make a duplicate copy of a particular variant. You can only add variants to an original product or to an original product's duplicate copy.

Let's go deep in this procedure:

Log in to your Shopify Backend >> Products >> All Products >> Select the product which you want to make duplicate:

Scroll down to the Variants section and edit the particular variant whose copy you want to make:

On the edit page, when you click on the duplicate button, it will throw a message saying 'To duplicate this variant, change the Color, then select Save variant.', hence you can't make a duplicate variant, you can just add a new variant.

That means you can't add variants to a duplicate variant!